agglomerate
发表于 2025-3-25 05:14:49
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idiopathic
发表于 2025-3-25 09:29:37
Introduction,s. Models of competitive equilibrium imply that marginal revenue from an activity equals its marginal cost. As the cost of reproduction of publicly available information is zero, the expected returns should also amount to zero. The knowledge that a certain firm will do well in the future does not im
向前变椭圆
发表于 2025-3-25 11:53:39
Efficient Stock Markets,any test of market efficiency is in fact a joint test of several hypotheses, i. e., tests of the efficient market hypothesis in the stock market are necessarily joint tests of an equilibrium model of expected returns and of rational processing of available information by investors. One specifies a m
吗啡
发表于 2025-3-25 17:39:45
The Informational Role of Volume, be extracted on the fundamentals driving returns. If stock markets are informationally efficient in that the current price incorporates all information, we would not expect to observe any causal relationship at all between volume and stock prices. In conventional models of asset prices, such as in
来自于
发表于 2025-3-25 23:47:38
Volume and Volatility of Stock Returns,n volatility of stock returns and trading volume (Tauchen and Pitts , Gallant, Rossi and Tauchen, ). The other strand focuses on the relation between volume and the serial correlation of stock returns.
AIL
发表于 2025-3-26 01:30:29
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凹处
发表于 2025-3-26 05:57:25
Testing the Structural Model,trading volume. We use the Efficient Method of Moment (EMM) estimator proposed by Bansal, Gallant, Hussey and Tauchen and Gallant and Tauchen to address this question. The EMM estimator provides a systematic way of developing moment conditions for estimation by simulation: It uses the score
blackout
发表于 2025-3-26 08:59:38
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碎片
发表于 2025-3-26 15:00:53
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解冻
发表于 2025-3-26 20:45:33
0075-8442 et pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my